Evica Petrović
Biographic Data
| ID | 7544795 |
|---|---|
| NAME | Evica Petrović |
| GIVEN NAMES | Evica |
| FAMILY NAME | Petrović |
| SIGNATURE | PETROVIĆ E |
| AFFILIATIONS | University of Nis |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2016 |
| LATEST PUBLICATION YEAR | 2016 |
| H-INDEX | 0 |
Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio
Interest rate risk is immanent to all sorts of bonds with a fixed interest rate and has a major impact on the value of the bond. The aim of this article is to evaluate this risk over a period of five years (2008–2012), applying the delta-normal Value-at-Risk (VaR) method to a portfolio consisting of bonds that were continuously traded at the Belgrade Stock Exchange and to assess the accuracy of the method for different confidence levels in that p…
No prominent works on this page.
Assessing the accuracy of delta-normal VaR evaluation for Serbian government bond portfolio
Interest rate risk is immanent to all sorts of bonds with a fixed interest rate and has a major impact on the value of the bond. The aim of this article is to evaluate this risk over a period of five years (2008–2012), applying the delta-normal Value-at-Risk (VaR) method to a portfolio consisting of bonds that were continuously traded at the Belgrade Stock Exchange and to assess the accuracy of the method for different confidence levels in that p…
Actuarial science (1 work) · Bond (1 work) · Confidence interval (1 work) · Econometrics (1 work) · Economics (1 work) · Finance (1 work) · Financial economics (1 work) · Financial Risk and Volatility Modeling (1 work) · Government bond (1 work) · Interest rate (1 work)